Though I was wrong in my answer but now I can understand or I think I understand why it will return NULL.

You can alter the procedure and drop the procedure within the same procedure so this will eliminate two options from the answer

It is not recrusive eliminating the third option also

Now between error message of GO and NULL.

GO will consider as the above T-SQL ready to go as a batch only if it the first word in the line.

For example this will fail,

CREATE PROC

GO AS -- As go it the first word in the line

BEGIN

EXEC ('ALTER PROC GO AS SELECT NULL')

EXEC GO

DROP PROC GO

END

GO

EXEC GO